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Aktienmarkt 1 Business network 1 Financial crisis 1 Finanzkrise 1 Stock market 1 Unternehmensnetzwerk 1 Welt 1 World 1
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Free 1
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Book / Working Paper 1
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English 1
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Cheng, Tingting 1 Liu, Junli 1 Yao, Wenying 1
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22-578 1
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Tail Connectedness : Measuring the Network Connectedness of Equity Markets During Crises
Cheng, Tingting; Liu, Junli; Yao, Wenying - 2022
This paper studies the global volatility connectedness network among 16 stock markets under different market conditions. We construct measures of tail connectedness following Ando et al. (2022) by introducing quantile regression into the classic Diebold-Yilmaz network model. We demonstrate the...
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